I see your point. But wouldn't it be possible to have a conversation like this:
Person A (smokes because he/she is depressed)
Person B: Hey I am really worried about your health. Is giving up smoking an option for you?
Person A: But I am depressed. That is why I can't just give it up.
Person B: I see. But aren't there other ways to cope for you?
[...] the conversation shifts from "stop it" to "let's find an alternative"

I'm not convinced that you can actually take something from somebody by telling them to stop a harmful behaviour like smoking.

Of course maybe what you mean is that suggesting things is a more constructive way than criticizing and that I agree with.